Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0121
Annualized Std Dev 0.1862
Annualized Sharpe (Rf=0%) -0.0651

Row

Daily Return Statistics

Close
Observations 4957.0000
NAs 1.0000
Minimum -0.1357
Quartile 1 -0.0046
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0048
Maximum 0.2821
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0117
Skewness 2.6092
Kurtosis 97.5804

Downside Risk

Close
Semi Deviation 0.0081
Gain Deviation 0.0100
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0129
Downside Deviation (Rf=0%) 0.0081
Downside Deviation (0%) 0.0081
Maximum Drawdown 0.6917
Historical VaR (95%) -0.0141
Historical ES (95%) -0.0258
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2006-12-11 2008-12-15 NA -0.6917 3593 507 NA
2001-08-17 2004-05-13 2006-09-15 -0.2470 1272 684 588
2006-09-18 2006-10-03 2006-11-01 -0.0315 33 12 21
2006-11-08 2006-11-09 2006-11-21 -0.0110 10 2 8
2001-07-12 2001-07-24 2001-08-08 -0.0099 19 9 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA -0.1 -0.1 -0.8 0.8 1.1 -0.9 0 0
2002 -0.5 -0.4 -0.5 0.5 0.8 0.9 1 0.6 0.5 0.5 0.9 0.4 4.9
2003 0.4 0.4 -0.1 0.1 -0.8 -0.4 0.1 0.8 0.1 0.2 -0.3 0.2 0.8
2004 -0.1 0 0.4 0.2 -0.3 0.2 1.2 0.1 0.2 0.1 0.1 -0.4 1.7
2005 0.2 -0.4 0.4 0.7 1.4 -1 0 -0.2 -0.6 0.6 -0.9 -1.7 -1.6
2006 -2.6 0.3 -0.6 -0.7 0.7 0.9 0.4 -0.3 -0.5 0.4 0 2.2 0.1
2007 0.4 0.3 0.5 -0.2 -1 -0.1 0.8 0 0.8 0.2 0.4 -1.9 0.2
2008 0.2 -1.9 0.7 0 -2 0.1 0.3 0.2 0.6 3.8 -6.1 1.8 -2.8
2009 -2.6 0.3 -0.1 -0.4 -1.2 1.7 1.8 -0.3 -1.5 0 -0.2 2.5 -0.1
2010 1.2 0.4 0.2 0 -0.5 0.5 0.3 0 0.3 -1.2 0.5 1.8 3.5
2011 -0.3 -1.2 0.3 0.8 0.8 1.2 0 0 0.5 0.1 0.3 0.8 3.3
2012 2 -0.5 0.5 1 0 -0.3 -0.7 0.6 0.8 0.4 0.2 0.9 4.9
2013 1.5 1 0.1 -0.2 -3.8 0 -1.3 -0.7 0.3 -0.7 -0.3 -0.1 -4.3
2014 -0.1 0.6 0 -0.2 0.2 -0.6 -0.2 0.3 0.4 -0.3 0 0.7 0.9
2015 0.5 1.4 -0.4 -0.2 1.2 1.2 1.3 0.5 0.4 0.4 1 0.2 7.9
2016 1.5 0 0.7 1.2 1 0.1 -0.2 0.1 -0.2 0.2 -0.3 0.5 4.7
2017 0.3 -0.2 0.8 0.9 0.5 1.1 0.6 0 0.8 0 0.1 0.2 5.2
2018 -0.9 -0.3 0.3 0 -0.2 -0.6 0.7 -0.1 0.7 0.6 0.2 1.5 1.7
2019 0.3 -0.6 0.1 0.2 1.5 -0.2 0 0.4 0.4 0.7 -0.1 -1.3 1.3
2020 0.4 -3.9 -4.4 1.4 0.7 0.5 0.1 0.3 -0.7 -0.6 0.6 0.7 -4.8
2021 0.1 0 0.3 NA NA NA NA NA NA NA NA NA 0.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-06-27  15   SPY    121. -6.00e-4  -0.0078  -0.0441   0.056    -0.163       NA       NA <NA>     NA    NA       NA
2 2001-06-28  15.0 SPY    122.  5.50e-3  -0.0135  -0.0251   0.0578   -0.161       NA       NA <NA>     NA    NA       NA
3 2001-06-29  15   SPY    123.  3.70e-3  -0.002   -0.0266   0.0506   -0.150       NA       NA <NA>     NA    NA       NA
4 2001-07-02  15   SPY    124.  1.25e-2   0.0198  -0.0205   0.087    -0.146       NA       NA <NA>     NA    NA       NA
5 2001-07-03  15.0 SPY    124. -2.00e-4   0.021   -0.0254   0.124    -0.157       NA       NA <NA>     NA    NA       NA
6 2001-07-05  15.0 SPY    122. -1.95e-2   0.0016  -0.0553   0.0977   -0.159       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart